Have you lived in Chicago during the winter? It gets quite cold and windy. I couldn't imagine willingly commuting there on bike even if adequate infrastructure existed.
Chicago in the winter is little different from Finland in the winter, and in the latter plenty of people commute by bike all winter. The discomfort of cycling in the cold is exaggerated; there is a way to dress appropriately, and then it is not a big deal.
Maybe not you, but there probably are at least some people who would if there were proper infrastructure.
If it's windy then you aren't going to be cold.
If this is some pun or joke, I don't get it. I assure you a place can be both cold and windy simultaneously, and this is not exclusive to Chicago.
I mean that cycling into the wind generates a lot of body warmth.